Hedging of options in presence of jump clustering

Donatien Hainaut and Franck Moraux ()

No 2018037, LIDAM Reprints ISBA from Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)

Date: 2018-01-01
Note: In : The Journal of Computational Finance, vol. 22, no. 3, p. 1-35 (2018)
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Related works:
Working Paper: Hedging of options in the presence of jump clustering (2018)
Working Paper: Hedging of options in presence of jump clustering (2017)
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